Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0148 |
| Annualized Std Dev | 0.2356 |
| Annualized Sharpe (Rf=0%) | 0.0629 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3690.0000 |
| NAs | 1.0000 |
| Minimum | -0.1047 |
| Quartile 1 | -0.0068 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0081 |
| Maximum | 0.1175 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0148 |
| Skewness | -0.3313 |
| Kurtosis | 7.3556 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0109 |
| Gain Deviation | 0.0099 |
| Loss Deviation | 0.0114 |
| Downside Deviation (MAR=210%) | 0.0155 |
| Downside Deviation (Rf=0%) | 0.0108 |
| Downside Deviation (0%) | 0.0108 |
| Maximum Drawdown | 0.5115 |
| Historical VaR (95%) | -0.0225 |
| Historical ES (95%) | -0.0359 |
| Modified VaR (95%) | -0.0234 |
| Modified ES (95%) | -0.0433 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-02-27 | 2009-03-09 | 2015-05-19 | -0.5115 | 2061 | 509 | 1552 |
| 2018-01-18 | 2020-03-16 | NA | -0.4218 | 799 | 543 | NA |
| 2015-06-02 | 2016-07-07 | 2018-01-04 | -0.3795 | 655 | 278 | 377 |
| 2006-07-03 | 2006-07-18 | 2006-08-15 | -0.0973 | 22 | 7 | 15 |
| 2006-08-23 | 2006-09-22 | 2006-12-07 | -0.0661 | 75 | 22 | 53 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | 5.4 | 0.6 | 0.6 | -0.2 | -0.2 | -0.4 | 0.1 | 6 |
| 2007 | 1.7 | -0.3 | -1.1 | 0.1 | 0.4 | 1 | -0.7 | 2.2 | 1.5 | -1.4 | -0.4 | 0 | 3.1 |
| 2008 | 1.1 | 0 | 1.8 | 0.8 | 1.6 | -0.8 | -1 | 0.9 | -0.5 | 0.5 | -7.1 | 1.7 | -1.3 |
| 2009 | -1.9 | -2.5 | 2.3 | 0.4 | 1.4 | 1.5 | 0.9 | -1.5 | -2.2 | -0.8 | 2.9 | -1 | -0.6 |
| 2010 | 1 | 1 | 1.2 | -0.9 | 0.7 | -0.5 | -0.9 | 3.2 | -0.5 | -0.8 | 2.3 | 0.2 | 5.9 |
| 2011 | 1 | -0.2 | 1 | -0.3 | -1.8 | 0.9 | -0.4 | -0.8 | -1.8 | -1.5 | -1.2 | 0 | -5 |
| 2012 | 0.9 | 0.5 | 0.6 | -0.5 | -2.7 | 2.7 | 0.2 | -0.3 | 0.1 | 1.2 | -0.1 | 1.5 | 3.9 |
| 2013 | 1 | 1.8 | -4.6 | -1.5 | -2.4 | 1.6 | 3.9 | -2.1 | -1 | -0.6 | 0.4 | 0.4 | -3.3 |
| 2014 | -2.8 | 0.2 | 0.7 | 0.7 | 0 | 1.7 | -0.3 | 0.1 | -2.3 | 6.6 | 0.3 | -0.4 | 4.4 |
| 2015 | -2.2 | -0.4 | -0.4 | 2.1 | 1.2 | 1.2 | 0.7 | -5.7 | 0.5 | -0.9 | 1.3 | -1.1 | -3.8 |
| 2016 | -0.5 | 3.3 | -3.2 | -2.3 | -1.2 | -1.1 | 0.7 | 0.7 | 0.3 | -1.5 | -1.2 | 0.2 | -5.7 |
| 2017 | 0.7 | 2.7 | -1.4 | 0.7 | 1.4 | 1 | 0.4 | 0.1 | -0.1 | 1 | -1 | 0.1 | 5.7 |
| 2018 | 0.8 | -3.4 | 0.6 | 0.5 | 1.6 | 0.1 | 0.6 | -0.1 | 1.3 | -0.2 | 0.2 | -0.8 | 1 |
| 2019 | -0.1 | 0.7 | 2.3 | -0.5 | -2.7 | 2.2 | -1.5 | 0.5 | -0.6 | 1.3 | -0.9 | 0.3 | 0.7 |
| 2020 | -2.4 | -1.9 | -5.4 | -2.8 | 1.2 | -0.7 | -2.1 | 0.4 | 0.1 | -0.5 | 2 | 0.2 | -11.6 |
| 2021 | 1.3 | 1.9 | 0.9 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.1 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-06-16 50.2 SPY 125. -0.0073 -0.00120 -0.013 -0.0415 0.0313 0.232 -0.0071 GLD 57.7 0.0063 -0.0458
2 2006-06-19 50.1 SPY 124. -0.0079 -0.0026 -0.0201 -0.0517 0.019 0.218 -0.0176 GLD 56.4 -0.0229 -0.0611
3 2006-06-20 50.1 SPY 124. 0.0034 0.0126 -0.0237 -0.0424 0.0222 0.241 -0.0057 GLD 57.3 0.0167 0.0247
4 2006-06-21 50.6 SPY 125. 0.0074 0.0122 -0.0089 -0.0412 0.0291 0.257 0.0247 GLD 58.3 0.018 0.0487
5 2006-06-23 50.4 SPY 124. -0.0002 -0.0017 -0.0137 -0.0443 0.0382 0.263 0.0262 GLD 58.0 0.0045 0.0054
6 2006-06-26 50.3 SPY 125. 0.0044 0.0107 -0.0215 -0.0387 0.0505 0.282 0.0263 GLD 58.3 0.005 0.0341
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
